Simulation of Contagion in the Stock Markets Using Cross-Shareholding Networks: A Case from an Emerging Market

Dastkhan, Hossein; Gharneh, Naser Shams

doi:10.1007/s10614-017-9781-6

Cited by 12 publications

(4 citation statements)

References 20 publications

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“…Gencay et al discussed that network uncertainty gives rise to an endogenous core-periphery structure which is optimal in mitigating financial contagion yet concentrates systemic risk at the core of big banks [11]. Dastkhan and Gharneh introduced a simulation model to analyze the contagion in financial markets based on the cross shareholding network of firms and the probability and the extent of contagion [12]. Bucci et al developed an epidemiological approach to analyze the mutual influence between financial contagion and economic activity and showed that financial contagion in some specific regions may propagate quickly also in regions far away from those in which the contagion initially occurs, highlighting the role of regional policy coordination to avoid interregional contagion [13].…”

Section: Literature Overviewmentioning

confidence: 99%

Associated Credit Risk Contagion with Incubatory Period: A Network-Based Perspective

Qian

et al. 2020

Complexity

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Associated credit risk is a kind of credit risk among the associated credit entities formed by credit-related entities. Focusing on this hot topic of associated credit risk and the relevant contagion and considering the latent entities and their incubatory period, this paper builds an infectious dynamic model to describe the associated credit risk contagion of associated credit entities based on the mean-field theory of complex networks. Firstly, this paper analyzes the stable state of the associated credit risk contagion in the associated entity network, considering the latent entities and their incubatory period. Secondly, from the perspective of complex network and considering the incubatory period, a SHIS model is built to reveal how the incubatory period influences associated credit risk contagion. Finally, the sensitivity of some parameters is analyzed in the Barabási–Albert (BA) scale-free network. The results show the following: (i) the contagion threshold of associated credit risk is related to the incubatory period of latent entities, the recovery rate and infectivity of infected entities, and the newborn rate of credit entities; (ii) the infectious rate of infected entities, the mortality rate of credit entities, and the important factors stated in (i) are all significantly correlated with the density of infected entities.

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Section: Literature Overviewmentioning

confidence: 99%

Associated Credit Risk Contagion with Incubatory Period: A Network-Based Perspective

Qian

et al. 2020

Complexity

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“…Cross-shareholding widely exists in listed companies and plays an important role in the development of enterprises. It can strengthen the information flow among enterprises, weaken the adverse effects brought by competition, disperse operational risks, reduce financial risks [4], promote strategic cooperation among enterprises [10], and effectively realize the cooperation and integration of businesses among enterprises. Although the cross-shareholding phenomenon has been gradually noticed by researchers, the basic questions about when enterprises are more inclined to participate in cross-shareholding and the characteristics of these enterprises have not been answered yet.…”

Section: Introductionmentioning

confidence: 99%

Research on Cross-Shareholding Behavior of Chinese Listed Companies

Sun¹,

Yuan²,

Chen³

et al. 2022

JIM

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It is an increasingly view that there is a large number of cross-shareholding behaviors in listed companies in China.Cross-shareholding exists in a large number of listed companies, and the cross-shareholding behavior of various industries is different. This paper studies this problem. China's A-share listed companies can be divided into six categories: finance, real estate, comprehensive, industry, public utilities and commerce. This paper first describes the changes and characteristics of cross-shareholding in these different industries by using the network analysis method, and then studies the main factors of enterprises participating in cross-shareholding in these six industries by using the data from 2007 to 2016 according to the financial indicators that can represent the characteristics of listed companies, such as asset scale, debt degree, operation ability and development ability. By studying the characteristics of enterprises participating in and exiting cross-shareholding, the study found that after the global financial crisis in 2008, the number of enterprises participating in cross-shareholding in various industries increased to a certain extent, but in 2014, after the financial crisis was relatively alleviated, the number of enterprises participating in cross-shareholding decreased significantly. On the whole, enterprises with large assets and stable long-term operation and development are easier to participate in and realize cross-shareholding when short-term liabilities and operation difficulties occur. However, this cross-shareholding behavior is relatively unstable. Enterprises will participate in cross-shareholding only when they encounter some operating difficulties. The role of cross-shareholding in integrating enterprise resources and promoting the long-term development of enterprises has not been effectively played in China.

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“…e sustainable and healthy development of the economy cannot do without the stability of financial systems [1][2][3]. e global financial markets have presented multiple complex forms because of the expansion and deepening of financial activities in the process of financial globalization.…”

Section: Introductionmentioning

confidence: 99%

Identifying Systemically Important Banks and Firms Based on a Multilayer DebtRank Model

Yang

Wang

et al. 2020

Mathematical Problems in Engineering

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The stability of the financial system plays a crucial role in the sustainable economic development. Hence, to identify systemically important banks and firms, we take lending relationships with different loan terms and common asset relationships with different investment cycles into consideration to present a multilayer DebtRank model of the bank-firm system. In the light of simulation research, we can obtain the following results. First, the bank-firm system constructed displays a significant core-periphery structure, which exists in the actual financial system. Then, only very few banks and firms show systemically important characteristics, where “important” subjects hold very high net assets and profits, while "fragile" subjects possess negative net assets and serious losses. Furthermore, the bank-firm multilayer DebtRank model presents a great stability to a certain extent. Overall, the multilayer DebtRank model constructed in this paper has certain theoretical reference value for the supervisory authorities to extract the internal characteristics of systemically important banks and firms and identify them effectively.

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Simulation of Contagion in the Stock Markets Using Cross-Shareholding Networks: A Case from an Emerging Market

Cited by 12 publications

References 20 publications

Associated Credit Risk Contagion with Incubatory Period: A Network-Based Perspective

Associated Credit Risk Contagion with Incubatory Period: A Network-Based Perspective

Research on Cross-Shareholding Behavior of Chinese Listed Companies

Identifying Systemically Important Banks and Firms Based on a Multilayer DebtRank Model

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